Baldur managed to escape from Helheim on his own, but I think the bitter memories seen in Hel changed it a bit.

*Kraso, Anthony and Freya watch someone emerge from the icy waters of the river*

Baldur: I had the presentiment that if I hurt the great serpent, I would make them appear ... you have an idea ... SOME MINIMAL IDEA !!!! of what you two have cost me. No more games, now I'm going to kill you both